For some reasons we have not yet added it ability to insert links to the Confirmation Message and but there is a trick...

What you can do is to create the message you want (with link and formatting) in a Formatted Text element in the Design Tab. Then copy and paste the text in the Formatted Text element into the Confirmation Message box.

You can add a link in the Formatted Text by selecting the text for the link then either "Right Click > Insert Link..." or via the Menu "Insert > Link..."

Don't forget to delete the Formatted Text in your form once you are done.

It doesn't look like you created a link but just type a something that looks like a link. Did you create the link like I mentioned above : You can add a link in the Formatted Text by selecting the text for the link then either "Right Click > Insert Link..." or via the Menu "Insert > Link..."

I think what you need to make sure is when you copy from the Design Tab to the Confirmation Message make sure that you grab some text before and after the link seems like if you just copy and paste the link something doesn't work quite right. You can always delete the excess test after you paste the text.